NPORT-EX 2 fp0048014_nportex.htm

RIVERNORTH MANAGED DURATION MUNICIPAL INCOME FUND INC. 
STATEMENT OF INVESTMENTS 
September 30, 2019 (Unaudited) 
Shares/Description   Value 
 CLOSED-END FUNDS (58.40%)     
 292,696   AllianceBernstein National Municipal Income Fund, Inc.  $4,033,351 
 296,616   BlackRock California Municipal Income Trust   4,059,190 
 301,450   BlackRock Municipal 2030 Target Term Trust   7,132,307 
 458,768   BlackRock Municipal Income Quality Trust   6,491,567 
 609,982   BlackRock MuniHoldings California Quality Fund, Inc.   8,612,946 
 159,987   BlackRock MuniHoldings Investment Quality Fund   2,164,624 
 687,413   BlackRock MuniHoldings New York Quality Fund, Inc.   9,355,691 
 120,812   BlackRock MuniHoldings Quality Fund II, Inc.   1,542,769 
 90,919   BlackRock MuniHoldings Quality Fund, Inc.   1,162,854 
 70,282   BlackRock MuniYield California Quality Fund, Inc.   1,011,358 
 274,242   BlackRock MuniYield New York Quality Fund, Inc.   3,581,601 
 269,169   BlackRock MuniYield Quality Fund II, Inc.   3,491,122 
 1,316,434   BlackRock MuniYield Quality Fund III, Inc.   17,864,009 
 130,007   DWS Municipal Income Trust   1,506,781 
 262,798   Eaton Vance California Municipal Bond Fund   2,977,501 
 968,468   Eaton Vance Municipal Bond Fund   12,551,345 
 84,679   Eaton Vance Municipal Income Trust   1,090,666 
 29,462   Eaton Vance New York Municipal Bond Fund   366,507 
 75,703   Eaton Vance New York Municipal Income Trust   1,014,420 
 57,411   Invesco Advantage Municipal Income Trust II   645,300 
 80,750   Invesco Municipal Opportunity Trust   1,010,182 
 572,022   Invesco Municipal Trust   7,213,197 
 67,771   Invesco Quality Municipal Income Trust   866,791 
 1,105,400   Invesco Trust for Investment Grade Municipals   14,226,498 
 229,788   Invesco Value Municipal Income Trust   3,529,544 
 2,645,111   Nuveen AMT-Free Quality Municipal Income Fund   37,851,538 
 8,563   Nuveen Arizona Quality Municipal Income Fund   115,258 
 241,920   Nuveen California Quality Municipal Income Fund   3,626,381 
 27,292   Nuveen Connecticut Quality Municipal Income Fund   366,259 
 376,142   Nuveen Maryland Quality Municipal Income Fund   5,021,496 
 341,625   Nuveen Michigan Quality Municipal Income Fund   4,769,085 
 757,036   Nuveen New York AMT-Free Quality Municipal Income Fund   10,189,705 
 263,378   Nuveen New York Quality Municipal Income Fund   3,755,770 
 106,302   Nuveen North Carolina Quality Municipal Income Fund   1,436,140 
 37,215   Nuveen Ohio Quality Municipal Income Fund   587,253 
 644,890   Nuveen Pennsylvania Quality Municipal Income Fund   9,028,460 
 1,961,887   Nuveen Quality Municipal Income Fund   28,172,697 
 202,958   Nuveen Texas Quality Municipal Income Fund   2,819,087 
 264,618   Pioneer Municipal High Income Advantage Trust   2,894,921 
 569,815   Putnam Managed Municipal Income Trust   4,461,651 
           
 TOTAL CLOSED-END FUNDS     
 (Cost $232,002,462)   232,597,822 

 

Principal Amount/Description  Rate   Maturity   Value 
 U.S. CORPORATE BONDS (1.90%)               
 Consumer, Non-cyclical (1.90%)               
$7,500,000   CommonSpirit Health   3.82%    10/01/49   $7,555,763 
                     
 TOTAL U.S. CORPORATE BONDS               
 (Cost $7,459,575)             7,555,763 

 

 

Principal Amount/Description  Rate  Maturity  Value 
MUNICIPAL BONDS (100.30%)          
California (24.61%)           
$10,000,000   Compton Unified School District, Series B(a)  4.00%  06/01/49  $11,083,100 
 27,500,000   Folsom Cordova Unified School District, General Obligation Unlimited Bonds(a)  4.00%  10/01/44   30,436,725 
 10,000,000   Livermore Valley Joint Unified School District, General Obligation Unlimited Bonds(a)  4.00%  08/01/46   11,050,300 
 15,000,000   Los Angeles County Facilities, Inc., Revenue Bonds(a)  4.00%  12/01/48   17,011,050 
 10,000,000   Los Angeles County Sanitation Districts Financing Authority, Revenue Bonds(a)  4.00%  10/01/42   11,052,000 
 15,000,000   San Francisco City & County Airport Comm-San Francisco International Airport, Revenue Bonds(a)  5.00%  05/01/46   17,367,600 
               98,000,775 
 Colorado (4.21%)               
 15,000,000   Colorado Health Facilities Authority, Revenue Bonds(a)  4.00%  11/15/43   16,766,250 
                 
 Connecticut (4.86%)           
 17,105,000   State of Connecticut, General Obligation Unlimited Bonds(a)  4.00%  04/15/38   19,359,097 
                 
 Georgia (4.92%)               
 17,500,000   Brookhaven Development Authority, Revenue Bonds(a)  4.00%  07/01/44   19,607,700 
                 
 Illinois (12.26%)               
 17,500,000   Illinois State Toll Highway Authority, Revenue Bonds(a)  4.00%  01/01/44   19,651,100 
 26,000,000   State of Illinois, General Obligation Unlimited Bonds(a)  5.00%  11/01/25   29,167,320 
               48,818,420 
 Massachusetts (2.69%)           
 10,000,000   Massachusetts Educational Financing Authority, Revenue Bonds(a)  4.25%  07/01/46   10,703,700 
                 
 Michigan (4.42%)           
 16,000,000   Michigan Finance Authority, Revenue Bonds(a)  4.00%  02/15/47   17,592,800 
                 
 Missouri (4.81%)               
 16,000,000   Kansas City Industrial Development Authority, Revenue Bonds(a)  5.00%  03/01/46   19,143,680 

 

 

Principal Amount/Description  Rate  Maturity  Value 
 New York (3.72%)           
$13,000,000   New York City Transitional Finance Authority Future Tax Secured Revenue, Revenue Bonds(a)  4.00%  05/01/41  $14,823,510 
                 
 Ohio (2.81%)               
 9,915,000   Worthington City School District, General Obligation Unlimited Bonds(a)  4.00%  12/01/44   11,195,919 
                 
 Pennsylvania (7.00%)           
 9,560,000   Allegheny County Hospital Development Authority, Revenue Bonds(a)  4.00%  07/15/39   10,708,825 
 15,445,000   Pennsylvania Turnpike Commission, Revenue Bonds(a)  4.00%  12/01/49   17,163,565 
               27,872,390 
 Puerto Rico (1.92%)           
 3,333,020   GDB Debt Recovery Authority of Puerto Rico, Revenue Bonds  7.50%  08/20/40   2,583,091 
 5,000,000   Puerto Rico Sales Tax Financing Corp. Sales Tax Revenue, Revenue Bonds  4.33%  07/01/40   5,087,400 
               7,670,491 
 Texas (17.52%)               
 11,780,000   City of Dallas TX, Series A, General Obligation Limited Bonds(a)  4.00%  02/15/37   13,487,864 
 19,890,000   New Caney Independent School District, General Obligation Unlimited Bonds(a)  4.00%  02/15/49   22,490,220 
 16,000,000   Texas Private Activity Bond Surface Transportation Corp., Revenue Bonds(a)  5.00%  06/30/58   18,700,480 
 12,850,000   Texas Transportation Commission, Revenue Bonds(a)  5.00%  08/01/57   15,093,610 
               69,772,174 
 Utah (2.05%)               
 8,150,000   County of Weber UT, Revenue Bonds(b)  1.75%  02/15/35   8,150,000 
                 
 Wisconsin (2.50%)           
 10,000,000   State of Wisconsin, Revenue Bonds(b)  1M US L + 1.20%  05/01/32   9,971,900 
                 
 TOTAL MUNICIPAL BONDS           
 (Cost $394,375,906)         399,448,806 

 

 

Shares/Description

   Value 
 SHORT-TERM INVESTMENTS (2.72%)     
 10,837,872   BlackRock Liquidity Funds MuniCash Portfolio (7 Day Yield 1.33%)  $10,838,956 

 

 

Shares/Description  Value 
TOTAL SHORT-TERM INVESTMENTS     
(Cost $10,838,649)   10,838,956 
      
TOTAL INVESTMENTS (163.32%)     
(Cost $644,676,592)  $650,441,347 
      
Floating Rate Note Obligations (-63.83%)(c)   (254,195,000)
Other Assets In Excess Of Liabilities (0.51%)   2,014,750 
NET ASSETS (100.00%)  $398,261,097 

 

(a) All or portion of principal amount transferred to a Tender Option Bond ("TOB") Issuer in exchange for TOB Residuals and cash.
(b) Variable rate investment. Interest rates reset periodically. Interest rate shown reflects the rate in effect at September 30, 2019. For securities based on a published reference rate and spread, the reference rate and spread are indicated the description above. Certain variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions. These securities do not indicate a reference rate and spread in their description above.
(c) Face value of Floating Rate Notes issued in TOB transactions.

 

Futures Contracts Sold:      

 

   Contracts   Expiration   Notional   Value and Unrealized 
Description  (Short)   Date   Value   Appreciation/(Depreciation) 
US 10Yr Note Future   (2,600)   December 2019   $338,812,500   $3,589,333 
US Long Bond Future   (428)   December 2019    69,469,750    1,107,633 
             $408,282,250   $4,696,966 

 

Investment Abbreviations:
LIBOR - London Interbank Offered Rate
 
Libor Rates:
1M US L - 1 Month LIBOR as of September 30, 2019 was 2.02%
 

 

 

RiverNorth Managed Duration Municipal Income Fund, Inc.  
Notes to Quarterly Schedule of Investments September 30, 2019 (Unaudited)

 

1. ORGANIZATION

 

RiverNorth Managed Duration Municipal Income Fund, Inc. (the “Fund”) was organized as a Maryland corporation on March 18, 2019, pursuant to an Articles of Incorporation, which was amended and restated on June 20, 2019 (“Articles of Incorporation”). The Fund had no operations until July 25, 2019 (commencement of operations), other than those related to organizational matters and the registration of its shares under applicable securities laws.

 

The Fund is a diversified, closed-end management investment company registered under the Investment Company Act of 1940, as amended (the “1940 Act”). The Articles of Incorporation permit the Board of Directors (the “Board” or “Directors”) to authorize and issue twenty million shares of common stock with $0.0001 par value per share. The Fund is considered an investment company and therefore follows the Investment Company accounting and reporting guidance of the Financial Accounting Standards Board (“FASB”) Accounting Standards codification Topic 946 Financial Services – Investment Companies.

 

The Fund will terminate on or before July 25, 2031; provided, that if the Board of Directors believes that under then-current market conditions it is in the best interests of the Fund to do so, the Fund may extend the Termination Date once for up to one year, and once for an additional six months. The Fund may be converted to an open-end investment company at any time if approved by the Board of Directors and the shareholders.

 

The Fund’s investment adviser is RiverNorth Capital Management, LLC (the “Adviser”) and the Fund’s sub-adviser is MacKay Shields, LLC (the “Sub-adviser”). The Fund’s investment objective is to seek current income exempt from regular U.S. federal income taxes (but which may be includable in taxable income for purposes of the Federal alternative minimum tax). The Fund’s secondary investment objective is total return.

 

2. SIGNIFICANT ACCOUNTING POLICIES

 

The following is a summary of significant accounting policies followed by the Fund. These policies are in conformity with generally accepted accounting principles in the United States of America (“U.S. GAAP”). The financial statements are prepared in accordance with U.S. GAAP, which requires management to make estimates and assumptions that affect the reported amounts and disclosures in the financial statements during the reporting period. Management believes the estimates and security valuations are appropriate; however, actual results may differ from those estimates, and the security valuations reflected in the financial statements may differ from the value the Fund ultimately realizes upon sale of the securities. The financial statements have been prepared as of the close of the New York Stock Exchange (“NYSE”) on September 30, 2019.

 

Security Valuation: The Fund’s investments are generally valued at their fair value using market quotations. If a market value quotation is unavailable a security may be valued at its estimated fair value as described in Note 3.

 

Security Transactions and Related Income: The Fund follows industry practice and records securities transactions on the trade date basis. The specific identification method is used for determining gains or losses for financial statements and income tax purposes. Dividend income is recorded on the ex-dividend date, and interest income and expenses are recorded on an accrual basis. Discounts and premiums on securities purchased are amortized or accreted using the effective interest method over the life of the respective securities.

 

3. SECURITIES VALUATION AND FAIR VALUE Measurements

 

Fair value is defined as the price that the Fund might reasonably expect to receive upon selling an investment in a timely transaction to an independent buyer in the principal or most advantageous market of the investment. U.S. GAAP establishes a three-tier hierarchy to maximize the use of observable market data and minimize the use of unobservable inputs and to establish classification of fair value measurements for disclosure purposes.

 

Inputs refer broadly to the assumptions that market participants would use in pricing the asset or liability, including assumptions about risk, for example, the risk inherent in a particular valuation technique used to measure fair value including using such a pricing model and/or the risk inherent in the inputs to the valuation technique. Inputs may be observable or unobservable. Observable inputs are inputs that reflect the assumptions market participants would use in pricing the asset or liability developed based on market data obtained from sources independent of the reporting entity. Unobservable inputs are inputs that reflect the reporting entity’s own assumptions about the assumptions market participants would use in pricing the asset or liability developed based on the best information available in the circumstances.

 

Various inputs are used in determining the value of the Fund’s investments. These inputs are summarized in the three broad levels listed below.

 

 

RiverNorth Managed Duration Municipal Income Fund, Inc.  
Notes to Quarterly Schedule of Investments September 30, 2019 (Unaudited)

 

  Level 1 – Unadjusted quoted prices in active markets for identical, unrestricted assets or liabilities that a Fund has the ability to access at the measurement date;

 

  Level 2 – Quoted prices which are not active, quoted prices for similar assets or liabilities in active markets or inputs other than quoted prices that are observable (either directly or indirectly) for substantially the full term of the asset or liability; and

 

  Level 3 – Significant unobservable prices or inputs (including the Fund’s own assumptions in determining the fair value of investments) where there is little or no market activity for the asset or liability at the measurement date.

 

The inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, for disclosure purposes, the level in the fair value hierarchy within which the fair value measurement falls in its entirety is determined based on the lowest level input that is significant to the fair value measurement in its entirety.

 

Equity securities, including closed-end funds, are generally valued by using market quotations, but may be valued on the basis of prices furnished by a pricing service when the Adviser or a Sub-Adviser believes such prices more accurately reflect the fair market value of such securities. Securities that are traded on any stock exchange are generally valued by the pricing service at the last quoted sale price. Lacking a last sale price, an exchange traded security is generally valued by the pricing service at its last bid price. Securities traded in the NASDAQ over-the-counter market are generally valued by the pricing service at the NASDAQ Official Closing Price. When using the market quotations or close prices provided by the pricing service and when the market is considered active, the security will be classified as a Level 1 security. Sometimes, an equity security owned by the Fund will be valued by the pricing service with factors other than market quotations or when the market is considered inactive. When this happens, the security will be classified as a Level 2 security. When market quotations are not readily available, when the Adviser or a Sub-Adviser determines that the market quotation or the price provided by the pricing service does not accurately reflect the current fair value, or when restricted or illiquid securities are being valued, such securities are valued as determined in good faith by the Adviser, Sub-Adviser, or valuation committee in conformity with guidelines adopted by and subject to review by the Board. These securities will be categorized as Level 3 securities.

 

Investments in mutual funds, including short term investments, are generally priced at the ending net asset value (“NAV”) provided by the service agent of the funds. These securities will be classified as Level 1 securities.

 

Fixed income securities, including municipal bonds, are normally valued at the mean between the closing bid and asked prices provided by independent pricing services. Prices obtained from independent pricing services typically use information provided by market makers or estimates of market values obtained from yield data relating to investments or securities with similar characteristics. These securities will be classified as Level 2 securities.

 

Futures contracts are normally valued at the final settlement price or official closing price provided by independent pricing services.

 

In accordance with the Fund’s good faith pricing guidelines, the Adviser, Sub-Adviser, or valuation committee is required to consider all appropriate factors relevant to the value of securities for which it has determined other pricing sources are not available or reliable as described above. No single standard exists for determining fair value, because fair value depends upon the circumstances of each individual case. As a general principle, the current fair value of an issue of securities being valued by the Adviser, Sub-Adviser, or valuation committee would appear to be the amount which the owner might reasonably expect to receive for them upon their current sale. Methods which are in accordance with this principle may, for example, be based on (i) a multiple of earnings; (ii) discounted cash flow models; (iii) weighted average cost or weighted average price; (iv) a discount from market of a similar freely traded security (including a derivative security or a basket of securities traded on other markets, exchanges or among dealers); or (v) yield to maturity with respect to debt issues, or a combination of these and other methods. Good faith pricing is permitted if, in the Adviser’s, a Sub-Adviser’s, or the valuation committee’s opinion, the validity of market quotations appears to be questionable based on factors such as evidence of a thin market in the security based on a small number of quotations, a significant event occurs after the close of a market but before a Fund’s NAV calculation that may affect a security’s value, or the Adviser or a Sub-Adviser is aware of any other data that calls into question the reliability of market quotations.

 

Good faith pricing may also be used in instances when the bonds in which the Fund invests default or otherwise cease to have market quotations readily available.

 

 

 

RiverNorth Managed Duration Municipal Income Fund, Inc.  
Notes to Quarterly Schedule of Investments September 30, 2019 (Unaudited)

 

The following is a summary of the inputs used at September 30, 2019 in valuing the Fund’s assets and liabilities:

 

Investments in Securities at Value*  Level 1 –
Quoted Prices
   Level 2 –
Other Significant Observable Inputs
   Level 3 –
Significant Unobservable Inputs
   Total 
Closed-End Funds  $232,597,822   $   $   $232,597,822 
U.S. Corporate Bonds       7,555,763        7,555,763 
Municipal Bonds       399,448,806        399,448,806 
Short-Term Investments   10,838,956            10,838,956 
Total  $243,436,778   $407,004,569   $   $650,441,347 

 

Other Financial Instruments**                
Liabilities:                    
Future Contracts  $4,696,966   $   $   $4,696,966 
Total  $4,696,966   $   $   $4,696,966 

 

*Refer to the Fund’s Schedule of Investments for a listing of securities by type.
**Other financial instruments are derivative instruments reflected in the Schedule
of Investments.

 

The Fund did not have any securities that used significant unobservable inputs (Level 3) in determining fair value, and there were no transfers into or out of Level 3 during the year.

 

4. Derivative Financial Instruments

 

The following discloses the Fund’s use of derivative instruments. The Fund’s investment objective not only permits the Fund to purchase investment securities, but also allow the fund to enter into various types of derivative contracts such as futures. In doing so, the Fund will employ strategies in differing combinations to permit it to increase, decrease, or change the level or types of exposure to market factors. Central to those strategies are features inherent to derivatives that make them more attractive for this purpose than equity or debt securities; they require little or no initial cash investment, they can focus exposure on only selected risk factors, and they may not require the ultimate receipt or delivery of the underlying security (or securities) to the contract. This may allow the Fund to pursue its objective more quickly and efficiently than if it were to make direct purchases or sales of securities capable of affecting a similar response to market factors.

 

Market Risk Factors: In pursuit of its investment objectives, the Fund may seek to use derivatives to increase or decrease its exposure to the following market risk factors:

 

Equity Risk: Equity risk relates to the change in value of equity securities as they relate to increases or decreases in the general market.

 

Interest Rate Risk: Interest rate risk relates to the risk that the municipal securities in the Fund’s portfolio will decline in value because of increases in market interest rates.

 

Risk of Investing in Derivatives

The Fund’s use of derivatives can result in losses due to unanticipated changes in the market risk factors and the overall market. Derivatives may have little or no initial cash investment relative to their market value exposure and therefore can produce significant gains or losses in excess of their cost. This use of embedded leverage allows the Fund to increase its market value exposure relative to its net assets and can substantially increase the volatility of the Fund’s performance.

 

Additional associated risks from investing in derivatives also exist and potentially could have significant effects on the valuation of the derivative and the Fund. Typically, the associated risks are not the risks that the Fund is attempting to increase or decrease exposure to, per its investment objective, but are the additional risks from investing in derivatives.

 

Examples of these associated risks are liquidity risk, which is the risk that the Fund will not be able to sell the derivative in the open market in a timely manner, and counterparty credit risk, which is the risk that the counterparty will not fulfill its obligation to the Fund.

 

 

 

RiverNorth Managed Duration Municipal Income Fund, Inc.  
Notes to Quarterly Schedule of Investments September 30, 2019 (Unaudited)

 

Futures

The Fund may invest in futures contracts in accordance with its investment objectives. The Fund does so for a variety of reasons including for cash management, hedging or non-hedging purposes in an attempt to achieve the Fund’s investment objective. A futures contract provides for the future sale by one party and purchase by another party of a specified quantity of the security or other financial instrument at a specified price and time. A futures contract on an index is an agreement pursuant to which two parties agree to take or make delivery of an amount of cash equal to the difference between the value of the index at the close of the last trading day of the contract and the price at which the index contract was originally written. Futures transactions may result in losses in excess of the amount invested in the futures contract. There can be no guarantee that there will be a correlation between price movements in the hedging vehicle and in the portfolio securities being hedged. An incorrect correlation could result in a loss on both the hedged securities in a fund and the hedging vehicle so that the portfolio return might have been greater had hedging not been attempted. There can be no assurance that a liquid market will exist at a time when a fund seeks to close out a futures contract or a futures option position. Lack of a liquid market for any reason may prevent a fund from liquidating an unfavorable position, and the fund would remain obligated to meet margin requirements until the position is closed. In addition, a fund could be exposed to risk of the counterparties to the contracts are unable to meet the terms of their contracts. With exchange traded futures, there is minimal counterparty credit risk to the Fund since futures are exchange traded and the exchange’s clearinghouse, as counterparty to all exchange traded futures, guarantees the futures against default.

 

When a purchase or sale of a futures contract is made by a fund, the fund is required to deposit with its custodian (or broker, if legally permitted) a specified amount of liquid assets (“initial margin”). The margin required for a futures contract is set by the exchange on which the contract is traded and may be modified during the term of the contract. The initial margin is in the nature of a performance bond or good faith deposit on the futures contract that is returned to the Fund upon termination of the contract, assuming all contractual obligations have been satisfied. These amounts are included in Deposit with broker for futures contracts on the Statement of Assets and Liabilities. Each day the Fund may pay or receive cash, called “variation margin,” equal to the daily change in value of the futures contract. Such payments or receipts are recorded for financial statement purposes as unrealized gains or losses by the Fund. Variation margin does not represent a borrowing or loan by the fund but instead is a settlement between a Fund and the broker of the amount one would owe the other if the futures contract expired. When the contract is closed, the fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed.